"Option Pricing in a One-Dimensional Affine Term Structure Model via ..."

M. Chazal, R. Loeffen, Pierre Patie (2018)

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DOI: 10.1137/16M1098267

access: closed

type: Journal Article

metadata version: 2019-10-31

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M. Chazal, R. Loeffen, Pierre Patie:
Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations. SIAM J. Financial Math. 9(2): 634-664 (2018)

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